I learned that if you apply a PNG file (lossless) as your desktop in Windows 7, what appears is instead a compressed (?JPEG) version of your file. If you apply a JPEG file, Windows leaves it alone.

This has implications since you have much more control compressing in Photoshop than in Windows (which was shit, that's why I picked it up). Not to mention that Windows desktop isn't colour managed either (I learned this a few weeks back), so your workaround is to convert the picture to your monitor's colour space. (The resultant file can be saved assigned with your ICC profile so any colour-managed program and computer will know how to compensate back to sRGB).